An Approach to Build Industry Asset Price Index: Take Four Industries for examples

Because of the importance and the absence of industry asset price index, we come up with an approach to conduct the industry asset price index. We built the industry asset price indices based on the data of the listed companies from Wind Financial Database of four industries in China. Some topics in price engineering are argued in this paper, includ ing how to select data, how to select asset types and determine weights, how to choose the best macro-and micro-industry indicators, and how to synthesize. The indexs we got are good, as they are consistent with the results in a recent research.